Step 1: Create a New File

Step 2: Set the background color

Step 3: Create the Cloud

Select the elliptical select tool and set the following settings. Everything is at its default value, except the mode, which is set to Add:

Create a new layer. Now create a couple of circles (hold Shift to create circles) connected to each other using the elliptical tool until you have a selection that looks like this:

Now use to the fill tool to fill your selection with white:

Step 4: Depth and Shadows

Time to add some depth to our clouds. Set your foreground color to a slightly darker and muted blue that you used for the background. I used #618d96. Then select a circular brush with the following settings (make a new one if you can't find one that matches):

Create a new layer above your cloud's layer, use this brush, to add some depth to your cloud. You might want to decrease the opacity of this layer. I set it to 40%:

Finally, just add a very weak drop shadow to your cloud (Script-Fu > Shadow > Drop Shadow). Make sure the cloud's layer it selected, not the depth layer!: